And no licence is required when downloading legally obtained (ie bought!) downloads and saving them directly to your playout drive (be it your computers internal HD or an external one). If you download to one location and then move it elsewhere to be used for playout, I do believe you then need ProDub.
As Darren said, BPI made a clear statement confirming they wouldn't chase private individuals who copied music cross-platform (ie from CD to their portable music players) for non-commercial, private use. They said they only wanted to pursue the big pirates who were responsible for costing the industry £millions in lost revenue. I think, so long you're not accepting any kind of payment (including drinks bought for you!) then you'd be fine.
When I get a booking in I always contact the venue directly to see if they need me to provide anything. That way, I know in advance what their policies are and there's no nasty suprises on the day (or night - you get what I mean!!).